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I took Jim's idea and added some Buffetology to it. I excluded highly regulated industries, commodities, and services. The annual P123 return popped and its Sortino ratio soared (2.02). Now, I currently only have the 5-year backtest period, which is insufficient for critical analysis.

Here's the P123 pseudocode I used:

EPSActual(0, ANN) > 0
EPSExclXorTTM > 0
LTGrthMean > 0
!GICS(FINANC) and !GICS(BASICM) and !GICS(UTILIT)
!GICS(REOPER) and !GICS(BLDRAW) and !GICS(AGRLIV) and !GICS(ACROPS) and !GICS(CCOALL)
!GICS(SERVICESUPP) & !GICS(SERVICEPRO) & !GICS(SVCEDIV) & !GICS(HCAREPROVID) & !GICS(FINDIVSVCE) & !GICS(TECHSVCE)
DbtTotTTM != NA & DbtTot(0,ANN,FALLBACK) != NA
BVPSA < 0
FOrderOLD("CashTTM",#All,#DESC,#Previous,TRUE) <= 5


If someone has the long-term back test P123 subscription, please test this for the longer term and let us know if it holds.


What still perplexes me is that Air-France-KLM SA pops up in today's screen. It has a market cap of $3.18B but total debt of $19.390B! I have a hard time believing that is a good buy; however, anything I add to try and eliminate it has a negative effect on overall returns.

Ideas?
Taz

What is the definition of the field BVPSA?

What still perplexes me is that Air-France-KLM SA pops up in today's screen. It has a market cap of $3.18B but total debt of $19.390B!

Probably aircraft leases?
Not sure how that fits with the screen criteria, but skipping airline stocks is never such a terrible idea : )

Mr Buffett in 2007 (before he bought into a bunch of airlines, yet again, and lost money):
"The worst sort of business is one that grows rapidly, requires significant capital to engender the growth, and then earns little or no money. Think airlines. Here a durable competitive advantage has proven elusive ever since the days of the Wright Brothers. Indeed, if a farsighted capitalist had been present at Kitty Hawk, he would have done his successors a huge favor by shooting Orville down. The airline industry’s demand for capital ever since that first flight has been insatiable. Investors have poured money into a bottomless pit, attracted by growth when they should have been repelled by it. And I, to my shame, participated in this foolishness when I had Berkshire buy U.S. Air preferred stock in 1989. As the ink was drying on our check, the company went into a tailspin, and before long our preferred dividend was no longer being paid. But we then got very lucky. In one of the recurrent, but always misguided, bursts of optimism for airlines, we were actually able to sell our shares in 1998 for a hefty gain. In the decade following our sale, the company went bankrupt. Twice. To sum up, think of three types of “savings accounts.” The great one pays an extraordinarily high interest rate that will rise as the years pass. The good one pays an attractive rate of interest that will be earned also on deposits that are added. Finally, the gruesome account both pays an inadequate interest rate and requires you to keep adding money at those disappointing returns."

Actually that first bit reminds me of some LLM companies...
"The worst sort of business is one that grows rapidly, requires significant capital to engender the growth, and then earns little or no money."
Hmmmm.

Jim

More to the point, if you can post the field definitions of those I could try to replicate at least the screen in Fidelity for comparison. (e.g. Is CashTTM cash flow growth over TTM? is it total cash? etc...)

DbtTotTTM: Total Debt Trailing Twelve Months does not equal NA.
DbtTot(0,ANN,FALLBACK): Total Annual Debt this past year, if NA, default to previous year.
BVPSA: Annual Book Value Per Share
CashTTM: Cash Trailing Twelve Months, take the top 5 descending order.

Taz

Thanks for the advice.
Air France has $5.8B in cash and equivalents and a negative Book Value.

Taz

skipping airline stocks is never such a terrible idea : )

Mr Buffett in 2007 (before he bought into a bunch of airlines, yet again, and lost money):

Some time in the late 1990's when we just over $100k invested I had a meeting with a Morgan Stanley broker for an assessment of our portfolio. Which was mostly TMF screen stocks.
He looked it over and said "This is a perfect set of holdings, there's nothing I could do for you. Except for this one thing. A thing that everybody does until they learn."

I had a glop of United Airlines.
"He said "Everybody buys airlines because on paper they look good. And everybody learns their lesson sooner or later. You just haven't learned the lesson yet. Never ever ever buy airline stocks. That's the lesson and that's the only thing wrong with your portfolio."

TAZ, I ran your screen from 1/1/2002. You didn’t specify the universe of stocks you are considering but:

Using SP500 Large cap The Screen did 9.88% vs SP500 9.61 there were few stocks passing before mid 2011
Using SP1500 the screen 10.73% SP1500 9.58 still few stocks chosen before mid 2011
Using P123’s EasyTrade universe Screen 12.54% Total Market 9.87%, no stocks chosen before early 2002.

A standard P123 example screen Weighted Value might be a good example to start with. Over the same 2002 till present using the SP1500 universe it has a CAGR of 18.24% compared to the SP1500 9.58 holding 20 stocks.

I’m taking an investing time out for a few months but within a couple of months be committed to using Machine Learning for stock selection.

Took a second look at the Weighted Value screen I suggested. It was a great screen up until 5 years ago when Value seems to have gone out of style. For the last 5 years it has underperformed the SP1500 and actually lost money over the last year.

Thanks for the input. I used P123 US(Including Foreign Primary)stock universe. 5 stocks held 26 weeks.

Mungo’s observation: Actually, that first bit reminds me of some LLM companies...
"The worst sort of business is one that grows rapidly, requires significant capital to engender the growth, and
then earns little or no money."
Hmmmm.

Don’t forget the internet bubble of the late 90’s. I almost succumbed to the wild enthusiasm of the moment.
The only thing that saved me was too many companies wanted me to join in. When everyone and their second
Cousin wants to invest in a venture start up with no business plan longer than 18 months it’s time to sit back
and wait to see which ones can actually bring in a sustainable income.

It’s not that I’m not enthused with the fantastic potential of LLMs. Their internal structure and the design of
different training and working hardware improvements are mind blogging. Things like an effective 1.58 bit
floating point number completely change the effective computer throughput. Our local university has 100s of
research projects making use of AI in every field you can think of. There is no question this will impact the
economy but I’m not smart enough to understand exactly how.

I had a glop of United Airlines.
"He said "Everybody buys airlines because on paper they look good. And everybody learns their lesson sooner or later. You just haven't learned the lesson yet. Never ever ever buy airline stocks. That's the lesson and that's the only thing wrong with your portfolio."

Good for them.
That's almost enough for me to soften my attitude towards "financial advisors" : )
Who are mostly just commissioned sales people posing as your friend.


Jim

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